Cboe Russell 2000 Conditional Buywrite Index (BXRC) www.cboe.com/BXRC

The Cboe Russell 2000 Conditional BuyWrite Index is designed to track the performance of a hypothetical covered call strategy that holds a long position indexed to the Russell 2000 Index and sells a monthly at-the-money (ATM) Russell 2000 Index call option. The written number of ATM call options will be either ½ unit or 1 unit and will be determined by the level of the Cboe Russell Volatility Index (RVX Index) when the call option is written on the Roll Date.

The BXRC Index rolls on a monthly basis, typically every third Friday of the month.